AIL Backtesting Suite

Portfolio Performance Report

Tickers: AMZN, AN, ANF, BBY, BOOT, BZH, CRMT, CVCO, DAN, DHI, DKS, DORM, GRMN, GT, H, HVT, KBH, KSS, LKQ, M, MBUU, MCD, MGM, NKE, PAG, PETS, SAH, SMP, TLYS, TXRH, ULTA, URBN, WINA, A, AMPH, BAX, BSX, CNC, CRVL, HUM, INVA, ITGR, MOH, OFIX, AKAM, COHR, CTSH, DIOD, MTSI, NVDA, OSIS, QLYS, SCSC, CEVA, FTNT, VSAT, APLE, BDN, EGP, JOE, MPW, NSA, STAG, AEE, AWK, BKH, CPK, CWT, OGS, SR

Period: 2017-07-03 to 2024-06-30

Final Value

$3,004,489.29

Total Return

200.45%

Annualized Return

17.07%

Max Drawdown

41.55%

Sharpe Ratio

0.80

Sortino Ratio

1.01

Calmar Ratio

0.41

Volatility

23.16%

Average Daily Return

0.073%

Best Day

10.24%

Worst Day

-14.31%

Win Rate

53.75%

Recovery Time

138 trading days / 198 calendar days

External Backtest Comparison

Tolerance: absolute ≤ 1.00e-04, relative ≤ 1.00%

MetricLocalRemoteAbs. diffRel. diffStatus
Final Value$3,004,489.29$2,986,534.05$17,955.240.60%Within tolerance
Total Return200.45%198.65%1.80%0.90%Within tolerance
Annualized Return17.07%16.97%0.10%0.59%Within tolerance
Max Drawdown41.55%41.62%-0.07%0.18%Within tolerance
Sharpe Ratio0.800.790.000.41%Within tolerance
Sortino Ratio1.011.000.000.42%Within tolerance
Calmar Ratio0.410.410.000.76%Within tolerance
Volatility23.16%23.17%-0.01%0.03%Within tolerance
Win Rate53.75%82.86%-29.10%35.12%Diff exceeds tolerance

Top Contributors (by total return * weight)

TickerWeightTotal ReturnAnnualized ReturnVolatilitySharpeSortinoAvg Daily ReturnContribution
NVDA1.43%3490.54%67.03%50.42%1.271.870.254%49.86%
BOOT1.43%1695.68%51.25%58.76%1.001.440.233%24.22%
ANF1.43%1476.98%48.46%62.24%0.951.340.234%21.10%
FTNT1.43%711.61%34.98%41.35%0.941.140.154%10.17%
DKS1.43%564.39%31.17%48.09%0.811.100.154%8.06%
CRVL1.43%423.73%26.77%34.42%0.861.160.118%6.05%
DHI1.43%343.19%23.78%37.18%0.761.030.112%4.90%
MOH1.43%332.81%23.36%36.33%0.761.120.109%4.75%
AMZN1.43%305.28%22.20%34.08%0.761.090.103%4.36%
PAG1.43%294.50%21.73%38.27%0.710.960.107%4.21%

Bottom Contributors

TickerWeightTotal ReturnAnnualized ReturnVolatilitySharpeSortinoAvg Daily ReturnContribution
PETS1.43%-86.78%-25.16%58.36%-0.22-0.32-0.050%-1.24%
VSAT1.43%-80.43%-20.84%52.79%-0.18-0.23-0.037%-1.15%
OFIX1.43%-71.24%-16.35%41.26%-0.22-0.26-0.036%-1.02%
GT1.43%-64.86%-13.91%50.44%-0.04-0.06-0.008%-0.93%
BDN1.43%-57.14%-11.43%37.06%-0.14-0.20-0.021%-0.82%
CEVA1.43%-56.41%-11.21%48.24%-0.00-0.01-0.001%-0.81%
MPW1.43%-44.29%-8.04%42.68%0.020.030.003%-0.63%
SMP1.43%-39.33%-6.91%31.63%-0.07-0.09-0.008%-0.56%
DAN1.43%-38.51%-6.73%52.20%0.130.170.027%-0.55%
BAX1.43%-37.80%-6.58%26.72%-0.12-0.14-0.013%-0.54%

Equity Curve

Drawdown

Daily Return Distribution

Rolling 6M Volatility

Rolling 6M Sharpe

Monthly Return Heatmap

Total Return by Asset

Asset Sharpe Ratios

Asset Return Correlation